Journal für Betriebswirtschaft

, Volume 62, Issue 3–4, pp 225–260

Universitätsendowments – Eine Bestandsaufnahme der theoretischen und empirischen Forschung

  • Georg Cejnek
  • Richard Franz
  • Otto Randl
  • Neal Stoughton
State-of-the-Art
  • 273 Downloads

Zusammenfassung

Obwohl Universitätsendowments eine lange Tradition aufweisen, hat deren Beitrag zu den operativen Budgets gerade in den letzten Jahren signifikant zugenommen. Von akademischer Seite besteht starkes Interesse am Verhalten und der Performance von Endowments, die eine wichtige Klasse institutioneller Investoren darstellen. Der vorliegende Artikel gibt einen Überblick über die akademische Literatur im aufstrebenden Forschungsgebiet der Universitätsendowments. Dabei klassifizieren wir die Arbeiten in vier Teilbereiche: (1) Governance befasst sich mit der Organisationsstruktur und dem Investment Policy Statement; (2) Asset Allocation behandelt den theoretischen Rahmen und empirische Analysen sowohl über die Zeit als auch für verschiedene Typen von Endowments; (3) Performance diskutiert die (risiko-adjustierte) Performance und unterscheidet nach Typen und Größe; (4) Ausschüttungen stellt den Zusammenhang zur theoretischen Literatur dar und beschreibt die Ausschüttungspraxis von Universitäten. Wir kommen zu dem Schluss, dass die fortgeschrittenen Methoden moderner finanzwirtschaftlicher Theorie und empirischer Analyse eine wertvolle Perspektive für das Verständnis von Universitätsendowments bieten. Dennoch heben wir mehrere Herausforderungen für zukünftige Forschung hervor.

Schlüsselwörter

Universitätsendowments Performance Asset Allocation 

Abstract

While university endowments have a long history, their contribution to operating budgets has gained considerable significance in recent years. Further as an important class of institutional investor there is strong interest in behavior and performance from the academic research side. This paper surveys the literature in the emerging field of scientific research studies concerning university endowments. We classify papers into four areas. (1) Organization, which pertains to governance structure and the investment policy statement; (2) asset allocation, where we discuss the main theoretical framework and the relevant observations both across time and for type of endowment; (3) performance, in which (risk-adjusted) performance is discussed and distinguished by type and size of endowment; (4) spending, which discusses the relation to the classical views and theoretical literature as well as what university endowments do in practice. We find that the modern framework for theoretical and empirical analysis can provide a very useful perspective for understanding the role of endowments. Nonetheless we highlight several challenges that should form the basis for future research agendas.

JEL Klassifikationen

G10 G11 G23 

Literatur

  1. Acharya S, Dimson E (2007) Endowment asset management – investment strategies in Oxford and Cambridge. Oxford University Press, Oxford Google Scholar
  2. Bajeux-Besnainou I, Ogunc K (2006) Spending rules for endowment funds: a dynamic model with subsistence levels. Rev Quant Finance Account 27(1):93–107 CrossRefGoogle Scholar
  3. Barber BM, Wang G (2012) Do (some) university endowments earn alpha? SSRN working paper 1972317 Google Scholar
  4. Barberis N (2000) Investing in the long run when returns are predictable. J Finance 55(1):225–264 CrossRefGoogle Scholar
  5. Blume ME (2010) Endowment spending in volatile markets: what should fiduciaries do? Rev Quant Finance Account 35(2):163–178 CrossRefGoogle Scholar
  6. Brinson G, Hood R, Beebower G (1986) Determinants of portfolio performance. Financ Anal J 42(2):39–44 CrossRefGoogle Scholar
  7. Brown JR, Dimmock SG, Kang J-K, Weisbenner S (2012) How university endowments respond to financial market shocks: evidence and implications. NBER working paper 15861 Google Scholar
  8. Brown JR, Dimmock S, Kang J-K, Richardson D, Weisbenner S (2011) The governance of university endowments: insights from a TIAA-CREF institute survey. Research dialogue. TIAA-CREF institute Google Scholar
  9. Brown KC, Garlappi L, Tiu C (2007) The troves of academe: asset allocation, risk budgeting and investment performance of university endowment funds. McCombs research paper series No. FIN-03-07 Google Scholar
  10. Brown KC, Garlappi L, Tiu C (2010) Asset allocation and portfolio performance: evidence from university endowment funds. J Financ Mark 13(2):268–294 CrossRefGoogle Scholar
  11. Brown W (1999) University endowments: investment strategies and performance. Financ Practice Educat 9(2):61–69 Google Scholar
  12. Campbell JY, Viceira LM (1999) Consumption and portfolio decisions when expected returns are time varying. Q J Econ 114(2):433–495 CrossRefGoogle Scholar
  13. Carhart M (1997) On persistance in mutual fund returns. J Finance 52(1):57–82 CrossRefGoogle Scholar
  14. Chen J, Hughson E, Stoughton N (2012) Strategic mutual fund tournaments. SSRN working paper 2023805 Google Scholar
  15. Coiner HM (1990) The lognormality of university endowment in the far future and its implications. Econ Educ Rev 9(2):157–161 CrossRefGoogle Scholar
  16. Core JE, Donaldson T (2010) An economic and ethical approach to charity and to charity endowments. Rev Sco Econ 68(3):261–284 CrossRefGoogle Scholar
  17. Dimmock S (2012) Background risk and university endowment funds. Rev Econ Stat 94(3):789–799 CrossRefGoogle Scholar
  18. Dybvig PH (1999) Using asset allocation to protect spending. Financ Anal J 55(1):49–62 CrossRefGoogle Scholar
  19. Ellis CD (1970) Let’s solve the endowment crisis. Harvard Business Review, March–April, 92–102 Google Scholar
  20. Fama E, French K (1993) Common risk factors in the returns on stocks and bonds. J Financ Econ 33(1):3–56 CrossRefGoogle Scholar
  21. Fraser SP, Jennings WW (2010) Examining the use of investment policy statements. J Wealth Manag 13(2):10–22 CrossRefGoogle Scholar
  22. Fung W, Hsieh D (2004) Hedge fund benchmarks: a risk-based approach. Financ Anal J 60(5):65–80 CrossRefGoogle Scholar
  23. Gilbert T, Hrdlicka C (2012) Fairness and risk-sharing across generations: an application to university and nonprofit endowments. SSRN working paper 2072323 Google Scholar
  24. Goetzmann WN, Oster S (2012) Competition among university endowments. NBER working paper 18173 Google Scholar
  25. Heinzel H (2004) Philanthropy and fundraising in Western Europe within a framework of change. New Direct Philanthrop Fund 46:101–120 CrossRefGoogle Scholar
  26. Ho GP, Mozes HA, Greenfield P (2010) The sustainability of endowment spending levels: a wake-up call for university endowments. J Portf Manag 37(1):133–146 CrossRefGoogle Scholar
  27. Humphreys J, Electris C, Fapohunda Y, Filosa J, Goldstein J, Grace K (2010) Educational endowments and the financial crisis: social costs and systemic risks in the shadow banking system. Center for Social Philantrophy, Tellus Institute Google Scholar
  28. Kaufman RT, Woglom G (2005) Modifying endowment spending rules: is it the cure for overspending? J Educ Finance 31(2):146–171 Google Scholar
  29. Lerner J, Schoar A, Wang J (2008) Secrets of the academy: the drivers of university endowment success. J Econ Perspect 22(3):207–222 CrossRefGoogle Scholar
  30. Lerner J, Schoar A, Wongsunwai W (2007) Smart institutions, foolish choices: the limited partner performance puzzle. J Finance 62(2):731–764 CrossRefGoogle Scholar
  31. Lindahl WE, Conley AT (2002) Literature review: philanthropic fundraising. Nonprofit Manag Leadership 13(1):91–112 CrossRefGoogle Scholar
  32. Litvack JM, Malkiel BG, Quandt RE (1974) A plan for the definition of endowment income. Am Econ Rev 64(2):433–437 Google Scholar
  33. Malkiel BG, Firstenberg PB (1976) Managing risk in an uncertain era. An analysis for endowed institutions. Princeton University, Princeton Google Scholar
  34. Merton RC (1971) Optimum consumption and portfolio rules in a continuous-time model. J Econ Theory 3(4):373–413 CrossRefGoogle Scholar
  35. Merton RC (1993) Optimal investment strategies for university endowment funds. In: Clotfelter CT, Rothschild M (Hrsg) Studies of supply and demand in higher education. University of Chicago Press, Chicago, S 211–242 Google Scholar
  36. NACUBO-Commonfund (2012) NACUBO commonfund study of endowments Google Scholar
  37. Nichols DA (1974) The investment income formula of the American Economic Association. Am Econ Rev 64(2):420–426 Google Scholar
  38. Princeton University (2010) Report of the treasurer, Princeton University endowment report. Princeton University, Princeton Google Scholar
  39. Rogers F (2005) Sources of endowment growth at colleges and universities commonfund Google Scholar
  40. Sedlacek VO, Jarvis WF (2010) Endowment spending: building a stronger policy framework. Commonfund Google Scholar
  41. Sharpe W (1992) Asset allocation: management style and performance measurement. J Portf Manag 18(2):7–19 CrossRefGoogle Scholar
  42. Siegel JJ (2008) Stocks for the long run, 4. Aufl. McGraw-Hill, New York Google Scholar
  43. Swensen DF (2009) Pioneering portfolio management: an unconventional approach to institutional investment. The Free Press, New York Google Scholar
  44. Tobin J (1974) What is permanent endowment income? Am Econ Assoc 64(2):427–432 Google Scholar
  45. Tseng Y-F, Griswold J, Goetzmann WN (2010) Educational endowments in crises. J Portf Manag 36(4):112–123 CrossRefGoogle Scholar
  46. Tuckman HP (1998) Competition, commercialization, and the evolution of nonprofit organizational structures. J Policy Anal Manage 17(2):175–194 CrossRefGoogle Scholar
  47. Woglom G (2003) Endowment spending rates, intergenerational equity and the sources of capital gains. Econ Educ Rev 22(6):591–601 CrossRefGoogle Scholar
  48. Yale University (2010) The Yale endowment 2010. New Haven Google Scholar

Copyright information

© Wirtschaftsuniversität Wien, Austria 2012

Authors and Affiliations

  • Georg Cejnek
    • 1
  • Richard Franz
    • 1
  • Otto Randl
    • 2
  • Neal Stoughton
    • 3
  1. 1.Institut für Strategische KapitalmarktforschungWU-Wirtschaftsuniversität WienWienAustria
  2. 2.ZZ Vermögensverwaltung GmbHWienAustria
  3. 3.WU-Wirtschaftsuniversität WienWienAustria

Personalised recommendations